Le contenu

Geneviève Gauthier

Professor,  Department of Decision Sciences


Geneviève Gauthier

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: genevieve.gauthier@hec.ca
Phone: 514 340-5627
Secretary: 514 340-6472
Fax: 514 340-5634
Office: 4.864

Personal page

Education

  • M.Sc.(mathématiques) UQAM
  • Ph.D.(mathématiques), Carleton U., Ottawa

Expertise

  • Stochastic Calculus
  • Probability and statistic
  • Mathematical modelling
  • Financial engineering
  • Pricing
  • Risk management
  • Credit risk

This publication selection covers the last five years.


+

Journal articles (11)


BÉGIN, Jean-François, BOUDREAULT, Mathieu, DOLJANU, Delia Alexandra, GAUTHIER, Geneviève; « Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis », Journal of Risk and Insurance, 2017 (status : online).

BÉGIN, Jean-François, BOUDREAULT, Mathieu, GAUTHIER, Geneviève; « Firm-specific credit risk estimation in the presence of regimes and noisy prices », Finance Research Letters, vol. 23, 2017, p. 306-313.

FERLAND, René, GAUTHIER, Geneviève, LALANCETTE, Simon; « The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime-Shift Pricing Approach », Journal of Futures Markets, vol. 36, no 1, Janvier 2016, p. 66-87.

DUPUIS, Debbie J., GAUTHIER, Geneviève, GODIN, Frédéric; « Short-term Hedging for an Electricity Retailer », Energy Journal, vol. 37, no 2, Avril 2016, p. 31-59.

AMAYA, Diego, GAUTHIER, Geneviève, LEAUTIER, Thomas-Olivier; « Dynamic Risk Management: Investment, Capital Structure, and Hedging in the Presence of Financial Frictions », Journal of Risk and Insurance, vol. 82, no 2, Juin 2015, p. 359-399.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Estimation of correlations in portfolio credit risk models based on noisy security prices », Journal of Economic Dynamics & Control, vol. 61, Décembre 2015, p. 334-349.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Contagion effect on bond portfolio risk measures in a hybrid credit risk model », Finance Research Letters, vol. 11, no 2, Juin 2014, p. 131-139.

FRANÇOIS, Pascal, GAUTHIER, Geneviève, GODIN, Frédéric; « Optimal hedging when the underlying asset follows a regime-switching Markov process », European Journal of Operational Research, vol. 237, no 1, Août 2014, p. 312-322.

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy; « Recovery rate risk and credit spreads in a hybrid credit risk model », Journal of Credit Risk, vol. 9, no 3, Automne 2013, p. 3-39.

DIONNE, Georges, GAUTHIER, Geneviève, OUERTANI, Nadia; « Risk Management of Nonstandard Basket Options with Different Underlying Assets », Journal of Futures Markets, vol. 33, no 4, Avril 2013, p. 299-326.

GAUTHIER, Geneviève, SIMONATO, Jean-Guy; « Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates », European Journal of Operational Research, vol. 219, no 2, Juin 2012, p. 442-451.



This award and honor selection covers the last five years.


GAUTHIER, Geneviève
Best Paper on Derivatives for "Extracting Latent States from High Frequency Option Prices", Northern Finance Association (NFA), 2017

BOUDREAULT, Mathieu, GAUTHIER, Geneviève, THOMASSIN, Tommy
Prix de la meilleure présentation, section: Accounting and Finance : «Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model», World Business and Economics Research Conference, décembre 2012


This selection of supervision activities covers the last five years.

+

Master's thesis direction – MSc in Management (5)

Particle Filter Performance with High Frequency Option Prices , by Marie-Eve Malette-Campeau
March 2018

In codirection with : LABBÉ, Chantal
Credit value adjustment of a portfolio in the context of the dependency between the value of the portfolio and the credit quality of the counterparty , by Forough Ensandoust Ghazvini
January 2017



In codirection with : BOUDREAULT, Mathieu
Modélisation et estimation du risque de crédit, by Tommy Thomassin
October 2012

+

Supervised project supervision – MSc in Management (8)

In codirection with : PINEAU, Pierre-Olivier
Impact des contrats de tarification de l'électricité sur la distribution de marges de revenus d'une aluminerie , by Guillaume Dyotte-Cournoyer
October 2016

Amélioration du Générateur de Scénario Économique. , by Oussama Charifi
March 2016

Corrélations dans un portefeuille d'obligations , by Kyle Zarmair
January 2016

Pricing Methodology and Vetting Results for OTC Derivatives , by Guillaume Desnoyers
September 2015

Analyse critique du modèle de capital économique pour le risque de crédit , by Emmanuelle Tremblay
September 2014

Adaptation d'un générateur de scénario économique canadien , by Simon Marleau-Hinton
September 2013

Modèle hybride du risque de défaut , by Maggie Fuxin Wang
March 2013

Estimation des probabilités de migration de cote de risque , by Jean-François Turpin
September 2012


hec.ca > Faculty